Worst Slippage on Emini S&P

Discussion in 'Order Execution' started by ForexPro, Jul 10, 2008.

  1. Hi,

    I am just about to start trading ESU8 (emini S&P). I wanted to know what the worse slippage was you'd experiened by using a mkt order?

    The mkt is very volatile at the moment, but i want to know what my downside is in terms of slippage etc.

    Many thanks

  2. I use actual stop orders on the ES. Usually I'll get filled at the same price as my stop. Occasionally, I'll get filled 0.25 points worse, but I haven't had any worse slippage than that. Of course, it depends on the size and time of day that you are trading. I trade very small size so I can get good fills with almost always no slippage in both RTH and the overnight session.
  3. How many e-minis are you trading?
  4. ES has very little slippage. Using stop orders, maybe 1 in 20 of my orders will slip 1 tick ($12.50 USD); all others fill at exact price.

    Liquidity is only getting better and better.

    I trade between 3 and 15 contracts.
  5. You're typically looking at 0.25 but every once in a while it will be as much as 1 point. I was camping out on a trigger today with my finger on the button, wanting the market to drop a little more so I could buy it and it jumped a full point. It finally settled back down and I got my fill but every once in a while you're gonna get a horse shit fill but that is the exception and not the rule with this contract. It is very liquid.
  6. mynd66


    I was short 1 contract after the close today and I had a buy stop in place. It shot up 2 points past my stop, as I watched it pass I gave it like 10 sec. Then I just used a market order to get out. Anyone know why it skipped me?
  7. What about in fast mkts like we've had over the last few weeks? Is a limit order better than mkt?

    Can you recommend a broker too?
  8. jem


    stop orders frequently follow different rules after market hours.
  9. mynd66


    what like you have to be good looking to get filled... lol. I learned the hardway, won't do that again.
  10. 1 to 5 contracts
    #10     Jul 10, 2008